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Tweets, Google Trends and Sovereign Spreads in the GIIPS

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  • Theologos Dergiades
  • Costas Milas
  • Theodore Panagiotidis

Abstract

We examine whether the information contained in social media (Twitter & Facebook) and web search queries (Google) influences financial markets. Using a multivariate system and focussing on Eurozone’s peripheral countries, the GIIPS (Greece, Ireland, Italy, Portugal and Spain), we show that social media discussion and search-related queries for the Greek debt crisis provide significant short-run information primarily for the Greek-German government bond yield differential even when other financial control variables (default risk, liquidity risk and international risk) are accounted for, and to a much lesser extent for Portuguese and Italian sovereign yield differentials.

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Bibliographic Info

Paper provided by Hellenic Observatory, LSE in its series GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe with number 78.

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Date of creation: Oct 2013
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Handle: RePEc:hel:greese:78

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Keywords: Google; social media; Greek crisis; frequency domain analysis; GIIPS.;

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Cited by:
  1. Vassilis Monastiriotis & Angelo Martelli, 2013. "Beyond Rising Unemployment: Unemployment Risk, Crisis and Regional Adjustments in Greece," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 80, Hellenic Observatory, LSE.
  2. Nick Papandreou, 2014. "Life in the First Person and the Art of Political Storytelling:The Rhetoric of Andreas Papandreou," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 85, Hellenic Observatory, LSE.
  3. Nicholas APERGIS & Arusha COORAY, 2013. "New Evidence on the Remedies of the Greek Sovereign Debt Problem," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 79, Hellenic Observatory, LSE.
  4. Nicos Christodoulakis, 2014. "The Conflict Trap in the Greek Civil War 1946-1949: An economic approach," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 83, Hellenic Observatory, LSE.

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